Asset Liability Management (ALM)

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From the fundamental interest rate risk management capabilities, to advanced business planning simulation features

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ALM Services

ALM

Professional
NIA
  • Focus on traditional ALM requirements
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ALM

Enterprise
NIA
  • Focus on advanced business planning simulation
Find out more

ALM

ALM Professional

ALM Professional

Scenario Type

  • Base Scenario
  • Forward Scenario
  • User-defined Scenarios (can be freely defined for stress testing)

Available Reports

  • Scalar Reports: Two dimensional reports (Evaluation date and Value) such as Book Value, Income Gain and Total Rate of Return
  • Ladder Reports: Three dimensional reports (Evaluation Date, Time and Value) such as Maturity ladder, Cash Flow ladder and Grid Point Sensitivity

Supported Financial Instruments

  • Interest related product (Loan, Deposit, Bond)
  • Spot product (Stock, Fund)
  • Forward product (FX-Forward)
  • Swap (IRS, CRS)

Accounting Method

  • Historical Cost
  • Mark-to-market

ALM Enterprise

ALM Enterprise

Includes all features from ALM Professional with the added features below.

Additional reports

  • Balance Sheet, Profit/Loss and Financial Indicators by Business Units
  • Flexible evaluation date setting
  • Supports multi-layer Fund Transfer Pricing
  • Financial Closing

Scenario Type

  • Monte Carlo Simulation (Market Risk, Credit Risk, Integrated Market and Credit Risk)
  • Supports composite yield creation

Feature Comparison

  ALM
  Professional Enterprise
Accounting reports and methodology Balance Sheet (BS), Profit/Loss Statement (P&L), Financial Indicators  
Multiple future evaluation dates Specify any number of future dates  
Accounting method Historical cost, Mark-to-market, Impairment  
Fund Transfer Pricing Supports up to 5 Fund Transfer Pricing for business units  
Financial Closing Supports the accumulation of net profit/loss and tax payable  
Financial Indicators Financial Indicator can be customized by formulas  
Scenario Type Market Scenario
Base Scenario Scenario where the economic environment does not change from base date
Forward Scenario Scenario where the interest rates are based on the forward rates as of base date
User-defined Scenarios Supports scenario analysis and stress testing
Composite Yield Composite yields are the yield indices calculated from market yield  
Credit Scenario Based on Merton Structural Model (Merton [1974])  
Integrated Scenario (Market + Credit)  
Portfolio Analysis & Evaluation Balance Report Book Value, Fair Value Balance
Profit and Loss Report Income Gain, Capital Gain
Ladder Report Maturity Ladder, Cash Flow Ladder
Risk Indicator Report BPV, EXPOSURE
Spread Adjustment Spread will be internally calculated for the adjustment of initial market value
Fair Value calculation Fair value calculation method can be specified at individual transaction level
Supported Financial Instruments Interest related product Loan, Deposit, Bond, Swap etc.
Spot and Forward products Stock, Fund, FX etc.
Results Display Financial Statements at future evaluation dates Future Balance Sheet (BS), Profit/Loss Statement (P&L), Financial Indicators  
OLAP (Online Analytical Processing) Allows analysis by segments according to Transaction attributes
Balance Report Book Value, Fair Value Balance
Ladder Report Maturity Ladder, Cash Flow Ladder
Detailed transaction information Journal, Cash Flow Table etc.